Unconventional monetary policy and bank risk taking
- Author
- Thomas Matthys (UGent) , Elien Meuleman (UGent) and Rudi Vander Vennet (UGent)
- Organization
- Abstract
- We analyze the presence of bank risk taking associated with unconventional monetary policy in the United States between 2008 and 2015 using corporate syndicated loan data at the bank-firm level. We measure monetary policy using the identification-through-heteroskedasticity approach with a VAR model. To identify the risk-taking channel we control for time-varying heterogeneity in credit demand and supply. Our results indicate that accommodating monetary conditions are associated with overall lower loan spreads. However, the spread reduction is lower for riskier firms, suggesting that there is no risk taking behavior in the syndicated loan market during the UMP period.
- Keywords
- Economics and Econometrics, Finance, US Banks, Unconventional monetary policy, Risk taking, Syndicated loans, LENDING RELATIONSHIPS, FINANCIAL CRISIS, INTEREST-RATES, IMPACT, CHANNEL, DIVERSIFICATION, SHOCKS, SIZE
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8672443
- MLA
- Matthys, Thomas, et al. “Unconventional Monetary Policy and Bank Risk Taking.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 109, 2020, doi:10.1016/j.jimonfin.2020.102233.
- APA
- Matthys, T., Meuleman, E., & Vander Vennet, R. (2020). Unconventional monetary policy and bank risk taking. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 109. https://doi.org/10.1016/j.jimonfin.2020.102233
- Chicago author-date
- Matthys, Thomas, Elien Meuleman, and Rudi Vander Vennet. 2020. “Unconventional Monetary Policy and Bank Risk Taking.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE 109. https://doi.org/10.1016/j.jimonfin.2020.102233.
- Chicago author-date (all authors)
- Matthys, Thomas, Elien Meuleman, and Rudi Vander Vennet. 2020. “Unconventional Monetary Policy and Bank Risk Taking.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE 109. doi:10.1016/j.jimonfin.2020.102233.
- Vancouver
- 1.Matthys T, Meuleman E, Vander Vennet R. Unconventional monetary policy and bank risk taking. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 2020;109.
- IEEE
- [1]T. Matthys, E. Meuleman, and R. Vander Vennet, “Unconventional monetary policy and bank risk taking,” JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 109, 2020.
@article{8672443,
abstract = {{We analyze the presence of bank risk taking associated with unconventional monetary policy in the United States between 2008 and 2015 using corporate syndicated loan data at the bank-firm level. We measure monetary policy using the identification-through-heteroskedasticity approach with a VAR model. To identify the risk-taking channel we control for time-varying heterogeneity in credit demand and supply. Our results indicate that accommodating monetary conditions are associated with overall lower loan spreads. However, the spread reduction is lower for riskier firms, suggesting that there is no risk taking behavior in the syndicated loan market during the UMP period.}},
articleno = {{102233}},
author = {{Matthys, Thomas and Meuleman, Elien and Vander Vennet, Rudi}},
issn = {{0261-5606}},
journal = {{JOURNAL OF INTERNATIONAL MONEY AND FINANCE}},
keywords = {{Economics and Econometrics,Finance,US Banks,Unconventional monetary policy,Risk taking,Syndicated loans,LENDING RELATIONSHIPS,FINANCIAL CRISIS,INTEREST-RATES,IMPACT,CHANNEL,DIVERSIFICATION,SHOCKS,SIZE}},
language = {{eng}},
pages = {{17}},
title = {{Unconventional monetary policy and bank risk taking}},
url = {{http://doi.org/10.1016/j.jimonfin.2020.102233}},
volume = {{109}},
year = {{2020}},
}
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